Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates

Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette
Additional contact information
Hai-Chuan Xu: ECUST
Didier Sornette: ETH Zurich

Papers from arXiv.org

Abstract: We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak alternate lead-lag structure in most of the time periods. When CNY and CNH display a large disparity, the lead-lag relationship is uncertain and depends on the prevailing market factors. The minute-scale interaction pattern between the CNY and CNH exchange rates change over time according to different market situations. We find that US dollar appreciation is associated with a lead-lag relationship running from offshore to onshore, while a (contrarian) Renminbi appreciation is associated with a lead-lag relationship running from onshore to offshore. These results are robust with respect to different sub-sample analyses and variations of the key smoothing parameter of the TOP method.

Date: 2018-03
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of International Financial Markets, Institutions & Money 49, 173-183 (2017)

Downloads: (external link)
http://arxiv.org/pdf/1803.09432 Latest version (application/pdf)

Related works:
Journal Article: Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1803.09432

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().